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2017年12月19日报告:Kelly Criterion Under Model Uncertainty

作者:admin 点击:174 发布时间:2017-12-15 17:18:58

题目:Kelly Criterion Under Model Uncertainty
报告人:徐玉红 副教授
报告时间2017年12月19日周二  14:00-15:00  
报告地点:理学院506报告厅
摘要:
Kelly criteria for a wealth process to reach a goal are studied under ambiguous market. Issues of how ambiguity of market parameters affect portfolio management are investigated. I show that ambiguity aversion of a rational individual decreases her market participation when return and volatility are uncorrelated, and there is a small exception for synchronous return and volatility. The aggregate premium of being short a discounted reward is computed explicitly which is decomposed into two parts. An investor’s pessimism leads to negative volatility premium. However the risk premium is positive. As a result, in an underestimated pricing economy, investors could still make positive premium via appropriate allocation among assets.
报告人简介:
徐玉红,理学博士、副教授;2013年6月在山东大学数学学院获得博士学位,2013年至2014年在法国布莱斯特大学从事博士后研究。主要研究领域包括风险度量,投资组合,随机控制,非线性数学期望理论等。主持国家自然科学青年基金等。相关学术论文发表于《Mathematical Finance》,《Quantitative Finance》等顶尖杂志。
 
 
 
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